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Successive Approximation Methods in Undiscounted Stochastic Games

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  • Awi Federgruen

    (Columbia University, New York, New York)

Abstract

This paper considers undiscounted two-person, zero-sum sequential games with finite state and action spaces. Under conditions that guarantee the existence of stationary optimal strategies, we present two successive approximation methods for finding the optimal gain rate, a solution to the optimality equation, and for any ϵ > 0, ϵ-optimal policies for both players.

Suggested Citation

  • Awi Federgruen, 1980. "Successive Approximation Methods in Undiscounted Stochastic Games," Operations Research, INFORMS, vol. 28(3-part-ii), pages 794-809, June.
    • Handle: RePEc:inm:oropre:v:28:y:1980:i:3-part-ii:p:794-809
    DOI: 10.1287/opre.28.3.794
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    Cited by:

    1. Endre Boros & Khaled Elbassioni & Vladimir Gurvich & Kazuhisa Makino, 2013. "On Canonical Forms for Zero-Sum Stochastic Mean Payoff Games," Dynamic Games and Applications, Springer, vol. 3(2), pages 128-161, June.
    2. Endre Boros & Khaled Elbassioni & Vladimir Gurvich & Kazuhisa Makino, 2018. "A Potential Reduction Algorithm for Two-Person Zero-Sum Mean Payoff Stochastic Games," Dynamic Games and Applications, Springer, vol. 8(1), pages 22-41, March.

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